First, Make sure you have Homebrew installed.
# Install FUSE.
# Restarting was required after I executed the following command.
brew cask install osxfuse
# Install sshfs.
brew install sshfs
# Mount the target remote directory to local.
sudo sshfs -o allow_other,defer_permissions,IdentityFile=~/.ssh/id_rsa user@host:/data/ /Users/user/data